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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	20.58***
α ARCH Response to squared shocks	0.2135	17.69***
β GARCH Volatility persistence	0.8106	138.71***
γ leverage Additional response to negative shocks	-0.1536	-9.15***

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CBOE EFA ETF Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EFA ETF Volatility Index Analyses